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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian - 2019
uncertainty. The results dictate the role of uncertainty and volatility in structural models and we show they are consistent with …
Persistent link: https://www.econbiz.de/10012480268
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Investors' and Central Bank's Uncertainty Embedded in Index Options
David, Alexander - 2011
Shocks to equity options' ATM implied volatility (ATMIV) are followed by persistently lower short-term rates. Shocks to …
Persistent link: https://www.econbiz.de/10012461893
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Modeling Financial Contagion Using Mutually Exciting Jump Processes
Aït-Sahalia, Yacine - 2010
introduce a model for asset return dynamics with a drift component, a volatility component and mutually exciting jumps known as …
Persistent link: https://www.econbiz.de/10012462802
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Terms of Trade Shocks and Fiscal Cycles
Kaminsky, Graciela L. - 2010
The latest boom in commodity prices fueled concerns about fiscal policies in commodity-exporting countries, with many claiming that it triggered loose fiscal policy and left no funds for a rainy day. This paper examines the links between fiscal policy and terms-of-trade fluctuations using a...
Persistent link: https://www.econbiz.de/10012462872
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The Inflation-Output Trade-off with Downward Wage Rigidities
Benigno, Pierpaolo - 2010
high inflation and flattens at low inflation. Macroeconomic volatility shifts the curve outward and reduces output. The … countries with different macroeconomic volatility …
Persistent link: https://www.econbiz.de/10012462893
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Variable Rare Disasters : An Exactly Solved Framework for Ten Puzzles in Macro-Finance
Gabaix, Xavier - 2008
qualitatively: (i) equity premium puzzle (ii) risk-free rate-puzzle (iii) excess volatility puzzle (iv) predictability of aggregate …
Persistent link: https://www.econbiz.de/10012464923
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Liquidity and Trading Dynamics
Guerrieri, Veronica - 2007
How do financial frictions affect the response of an economy to aggregate shocks? In this paper, we address this question, focusing on liquidity constraints and uninsurable idiosyncratic risk. We consider a search model where agents use liquid assets to smooth individual income shocks. We show...
Persistent link: https://www.econbiz.de/10012465449
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Incomplete Cost Pass-Through Under Deep Habits
Ravn, Morten - 2007
A number of empirical studies document that marginal cost shocks are not fully passed through to prices at the firm level and that prices are substantially less volatile than costs. We show that in the relative-deep-habits model of Ravn, Schmitt-Grohe, and Uribe (2006), firm-specific marginal...
Persistent link: https://www.econbiz.de/10012465695
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Stuck on Gold : Real Exchange Rate Volatility and the Rise and Fall of the Gold Standard
Chernyshoff, Natalia - 2005
Did adoption of the gold standard exacerbate or diminish macroeconomic volatility? Supporters thought so, critics … thought not, and theory offers ambiguous messages. A hard exchange-rate regime such as the gold standard might limit monetary … shocks if it ties the hands of policy makers. But any decision to forsake exchange-rate flexibility might compromise shock …
Persistent link: https://www.econbiz.de/10012466876
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Financial Development and the Instability of Open Economies
Aghion, Philippe - 2004
This paper introduces a framework for analyzing the role of financial factors as a source of instability in small open economies. Our basic model is a dynamic open economy model with a tradeable good produced with capital and a country-specific factor. We also assume that firms face credit...
Persistent link: https://www.econbiz.de/10012468447